Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective'
|Date||27 October 2010|
|Time||13:00-14:00 (Timezone: Europe/London)|
|Venue||ICMA Centre, Room G03/04|
He was previously a Senior Economist and then an Asst. Vice-President with the research division of the Federal Reserve Bank of St. Louis, within the US Federal Reserve system, where he retains policy advising roles. His research interests focus on the econometrics of asset pricing models, applied forecasting in finance and macroeconomics, dynamic asset allocation models and their applied performance, and the empirical modelling of the behavior of financial intermediaries such as financial analysts and rating agencies. He has published his research in academic journals that include the American Economic Review, the Economic Journal, Journal of Financial Economics, the Review of Financial Studies, the Journal of Business, and the Journal of Econometrics. He serves on the editorial board or he is associate editor at academic journals such as the International Journal of Forecasting, the Journal of Business Finance and Accounting, and Studies in Nonlinear Dynamics and Econometrics.